480 lines
29 KiB
MQL5
480 lines
29 KiB
MQL5
#define TOSTR(A) #A+" = "+(string)A+" "
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//+------------------------------------------------------------------+
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//| ローソク足が確定したティックならtrue
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//+------------------------------------------------------------------+
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bool IsNewBar(ENUM_TIMEFRAMES tf = PERIOD_CURRENT)
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{
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static datetime time = 0;
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static long msc = 0;
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//--- ティック情報の取得
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MqlTick tick;
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SymbolInfoTick(_Symbol, tick);
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if(iTime(_Symbol, tf, 0) == time && msc != tick.time_msc)
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return false;
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time = iTime(_Symbol, tf, 0);
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msc = tick.time_msc;
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return true;
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}
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//+------------------------------------------------------------------+
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//| ティックがn回目ならtrue
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//+------------------------------------------------------------------+
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bool IsSpecifiedTick(const int n = 100)
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{
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static int tick_count = 0;
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if(tick_count < n){
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tick_count++;
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return false;
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}
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tick_count = 0;
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return true;
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}
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//+------------------------------------------------------------------+
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//| 対数差収益率
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//+------------------------------------------------------------------+
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double iR(string sym, ENUM_TIMEFRAMES tf, int i)
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{
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double c0 = iClose(sym,tf,i);
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double c1 = iClose(sym,tf,i+1);
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return(log(c0) - log(c1));
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}
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//+------------------------------------------------------------------+
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//| 上昇したティックであればtrue
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//+------------------------------------------------------------------+
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bool IsRisedTick()
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{
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static double bid = SymbolInfoDouble(_Symbol, SYMBOL_BID);
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bool ret = false;
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if(SymbolInfoDouble(_Symbol, SYMBOL_BID) > bid)
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ret = true;
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bid = SymbolInfoDouble(_Symbol, SYMBOL_BID);
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return ret;
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}
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//+------------------------------------------------------------------+
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//| 下降したティックであればtrue
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//+------------------------------------------------------------------+
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bool IsDescntTick()
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{
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static double bid = SymbolInfoDouble(_Symbol, SYMBOL_BID);
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bool ret = false;
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if(SymbolInfoDouble(_Symbol, SYMBOL_BID) < bid)
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ret = true;
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bid = SymbolInfoDouble(_Symbol, SYMBOL_BID);
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return ret;
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}
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//+------------------------------------------------------------------+
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//| ストップのレートを計算する(引数1:ストップまでの距離(%) 引数2:買い(1)か売り(-1) )
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//+------------------------------------------------------------------+
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double CalculateStopRate(double range, int buysell)
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{
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if(range <= 0)
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return (double)"nan";
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if(buysell != 1 && buysell != -1){
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Print("ストップのレート計算で不正な値を受け取りました。");
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return (double)"nan";
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}
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double nowprice = iClose(_Symbol, PERIOD_CURRENT, 0);
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return nowprice - (nowprice * range * buysell);
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}
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//+------------------------------------------------------------------+
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//| 最後の約定価格を返す
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//+------------------------------------------------------------------+
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double GetLastDealPrice(long magic,ulong second = 600)
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{
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ulong ticket_history_deal = 0; // ディールチケット
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double deal_price = (double)"nan";
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if(!HistorySelect(TimeCurrent() - second, TimeCurrent()))
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return deal_price;
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uint total_deals = HistoryDealsTotal();
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if(total_deals == 0)
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return deal_price;
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//--- 全ての取引を配列に取得
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for(uint i = 0; i < total_deals; i++) {
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if((ticket_history_deal = HistoryDealGetTicket(i)) > 0) {
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if(HistoryDealGetInteger(ticket_history_deal, DEAL_MAGIC) != magic)
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continue;
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deal_price = HistoryDealGetDouble(ticket_history_deal, DEAL_PRICE);
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}
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}
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return deal_price;
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}
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//+------------------------------------------------------------------+
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//| 最後の約定時刻を返す
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//+------------------------------------------------------------------+
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datetime GetLastDealTime(long magic,ulong second = 3600)
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{
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ulong ticket_history_deal = 0; // ディールチケット
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datetime deal_time = 0;
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if(!HistorySelect(TimeCurrent() - second, TimeCurrent()))
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return deal_time;
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uint total_deals = HistoryDealsTotal();
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if(total_deals == 0)
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return deal_time;
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//--- 全ての取引を配列に取得
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for(uint i = 0; i < total_deals; i++) {
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if((ticket_history_deal = HistoryDealGetTicket(i)) > 0) {
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if(HistoryDealGetInteger(ticket_history_deal, DEAL_MAGIC) != magic)
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continue;
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deal_time = (datetime)HistoryDealGetInteger(ticket_history_deal, DEAL_TIME);
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}
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}
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return deal_time;
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}
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//+------------------------------------------------------------------+
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//| バックテスト結果をCSV出力する関数
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//|
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//| ファイルパス： \MetaQuotes\Tester\(MT5アカウントフォルダ)\Agent-127.0.0.1-3000\MQL5\Files
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//| OnDeinit関数でCsvOutputBTResults(__FILE__)と書く
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//+------------------------------------------------------------------+
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bool OutputResultsToCSV(string ea_name = "BackTestEA")
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{
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//--- 単一バックテストのみ
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if(!MQLInfoInteger(MQL_TESTER) || MQLInfoInteger(MQL_OPTIMIZATION))
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return false;
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//--- ファイル名
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string fn = FileName(ea_name, TimeCurrent());
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//--- ファイルハンドルの取得
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int handle = FileOpen(fn + ".csv", FILE_CSV | FILE_WRITE);
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if( handle == INVALID_HANDLE ) {
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Print("CSV出力する関数内でファイルハンドル取得に失敗：", GetLastError());
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return false;
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}
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long DealTimeIn[], DealTimeOut[], DealType[];
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double DealPriceIn[], DealPriceOut[], DealVolume[], DealProfit[], DealSwap[];
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string DealSymbol[];
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int total_deals = 0;
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//--- 取引損益を配列に書き込み
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if(!GetTradeResults(DealTimeIn, DEAL_TIME, DEAL_ENTRY_IN)
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|| !GetTradeResults(DealTimeOut, DEAL_TIME, DEAL_ENTRY_OUT)
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|| !GetTradeResults(DealType, DEAL_TYPE, DEAL_ENTRY_IN)
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|| !GetTradeResults(DealPriceIn, DEAL_PRICE, DEAL_ENTRY_IN)
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|| !GetTradeResults(DealPriceOut, DEAL_PRICE, DEAL_ENTRY_OUT)
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|| !GetTradeResults(DealVolume, DEAL_VOLUME, DEAL_ENTRY_OUT)
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|| !GetTradeResults(DealProfit, DEAL_PROFIT, DEAL_ENTRY_OUT)
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|| !GetTradeResults(DealSwap, DEAL_SWAP, DEAL_ENTRY_OUT)
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|| !GetTradeResults(DealSymbol, DEAL_SYMBOL, DEAL_ENTRY_OUT) ){
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FileClose(handle);
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return false;
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}
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total_deals = ArraySize(DealProfit);
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FileWrite(handle, "in_date", "in_time", "out_date", "out_time", "symbol", "buy_sell", "in_price", "out_price", "volume", "profit", "swap");
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//--- CVSにデータを追加する
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for(int i = 0; i < total_deals; i++) {
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//--- ENUM_DEAL_TYPEをstring型の"Buy/Sell"で表現する
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string deal_type = "Buy";
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if(DEAL_TYPE_SELL == (ENUM_DEAL_TYPE)DealType[i])
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deal_type = "Sell";
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//--- 書き込み
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FileWrite(handle,
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TimeToString((datetime)DealTimeIn[i], TIME_DATE),
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TimeToString((datetime)DealTimeIn[i], TIME_MINUTES),
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TimeToString((datetime)DealTimeOut[i], TIME_DATE),
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TimeToString((datetime)DealTimeOut[i], TIME_MINUTES),
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DealSymbol[i],
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deal_type,
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DealPriceIn[i],
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DealPriceOut[i],
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DealVolume[i],
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DealProfit[i],
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DealSwap[i]);
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}
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FileClose(handle);
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Print("CSV出力が完了しました");
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return true;
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}
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//+------------------------------------------------------------------+
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//| バックテスト結果をCSV出力する関数(日付細かく)
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//|
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//| ファイルパス： \MetaQuotes\Tester\(MT5アカウント)\Agent-127.0.0.1-3000\MQL5\Files
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//| OnDeinit関数でOutputResultsToCSV(__FILE__)と書く
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//+------------------------------------------------------------------+
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bool OutputResultsToCSV2(string ea_name = "BackTestEA")
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{
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//--- 単一バックテストのみ
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if(!MQLInfoInteger(MQL_TESTER) || MQLInfoInteger(MQL_OPTIMIZATION))
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return false;
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//--- ファイル名
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string fn = FileName(ea_name, TimeCurrent());
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//--- ファイルハンドルの取得
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int handle = FileOpen(fn + ".csv", FILE_CSV | FILE_WRITE);
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if( handle == INVALID_HANDLE ) {
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Print("CSV出力する関数内でファイルハンドル取得に失敗：", GetLastError());
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return false;
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}
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long DealTimeIn[], DealTimeOut[], DealType[];
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double DealPriceIn[], DealPriceOut[], DealVolume[], DealProfit[], DealSwap[];
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string DealSymbol[], DealComment[];
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int total_deals = 0;
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MqlDateTime dtin,dtout;
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//--- 取引損益を配列に書き込み
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if(!GetTradeResults(DealTimeIn, DEAL_TIME, DEAL_ENTRY_IN)
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|| !GetTradeResults(DealTimeOut, DEAL_TIME, DEAL_ENTRY_OUT)
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|| !GetTradeResults(DealType, DEAL_TYPE, DEAL_ENTRY_IN)
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|| !GetTradeResults(DealPriceIn, DEAL_PRICE, DEAL_ENTRY_IN)
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|| !GetTradeResults(DealPriceOut, DEAL_PRICE, DEAL_ENTRY_OUT)
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|| !GetTradeResults(DealVolume, DEAL_VOLUME, DEAL_ENTRY_OUT)
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|| !GetTradeResults(DealProfit, DEAL_PROFIT, DEAL_ENTRY_OUT)
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|| !GetTradeResults(DealSwap, DEAL_SWAP, DEAL_ENTRY_OUT)
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|| !GetTradeResults(DealSymbol, DEAL_SYMBOL, DEAL_ENTRY_OUT)
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|| !GetTradeResults(DealComment, DEAL_COMMENT, DEAL_ENTRY_IN) ){
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FileClose(handle);
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return false;
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}
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total_deals = ArraySize(DealProfit);
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FileWrite(handle,
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"in年",
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"in月",
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"in日",
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"in曜日",
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"in時",
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"in分",
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"out年",
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"out月",
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"out日",
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"out曜日",
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"out時",
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"out分",
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"通貨ペア",
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"Buy/Sell",
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"in約定価格",
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"out約定価格",
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"ロット数",
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"損益",
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"スワップ",
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"inコメント");
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//--- CVSにデータを追加する
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for(int i = 0; i < total_deals; i++) {
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//--- ENUM_DEAL_TYPEをstring型の"Buy/Sell"で表現する
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string deal_type = "Buy";
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if(DEAL_TYPE_SELL == (ENUM_DEAL_TYPE)DealType[i])
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deal_type = "Sell";
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//---
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TimeToStruct(DealTimeIn[i], dtin);
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TimeToStruct(DealTimeOut[i], dtout);
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//--- 書き込み
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FileWrite(handle,
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dtin.year,
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dtin.mon,
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dtin.day,
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dtin.day_of_week,
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dtin.hour,
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dtin.min,
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dtout.year,
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dtout.mon,
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dtout.day,
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dtout.day_of_week,
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dtout.hour,
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dtout.min,
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DealSymbol[i],
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deal_type,
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DealPriceIn[i],
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DealPriceOut[i],
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DealVolume[i],
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DealProfit[i],
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DealSwap[i],
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DealComment[i]);
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}
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FileClose(handle);
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Print("CSV出力が完了しました");
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return true;
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}
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//+------------------------------------------------------------------+
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//| ファイル名(名前とバックテスト終了日付)
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//+------------------------------------------------------------------+
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string FileName(string ea_name, datetime time)
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{
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string name = ea_name;
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if(".mq5" == StringSubstr(name, StringFind(name, "."), 4)
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|| ".ex5" == StringSubstr(name, StringFind(name, "."), 4)
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|| ".mqh" == StringSubstr(name, StringFind(name, "."), 4)) {
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StringSetLength(name, name.Length() - 4);
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}
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name += "_" + TimeToString(time, TIME_DATE);
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StringReplace(name, ".", "");
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StringReplace(name, " ", "_");
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StringReplace(name, ":", "");
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return name;
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}
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//+------------------------------------------------------------------+
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//| long型の約定情報を配列に書き込む
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//+------------------------------------------------------------------+
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bool GetTradeResults(long &results[], const ENUM_DEAL_PROPERTY_INTEGER EDPI, const ENUM_DEAL_ENTRY EDE)
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{
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//--- 全期間の取引履歴をリクエストする
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if(!HistorySelect(0, TimeCurrent()))
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return (false);
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uint total_deals = HistoryDealsTotal();
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//--- 配列を、履歴の取引数にリサイズ
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ArrayResize(results, total_deals);
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int counter = 0; // 取引回数カウンター
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ulong ticket_history_deal = 0; // ディールチケット
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//--- 全ての取引を配列に取得
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for(uint i = 0; i < total_deals; i++) {
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//--- 取引を選択する
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if((ticket_history_deal = HistoryDealGetTicket(i)) > 0) {
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ENUM_DEAL_ENTRY deal_entry = (ENUM_DEAL_ENTRY)HistoryDealGetInteger(ticket_history_deal, DEAL_ENTRY);
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long deal_type = HistoryDealGetInteger(ticket_history_deal, DEAL_TYPE);
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long deal_info = HistoryDealGetInteger(ticket_history_deal, EDPI);
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//--- 取引操作以外はスルー
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if((deal_type != DEAL_TYPE_BUY) && (deal_type != DEAL_TYPE_SELL))
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continue;
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//--- ENUM_DEAL_ENTRYで指定した情報のみ
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if(deal_entry == EDE) {
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//--- 取引結果を配列に書き込み、取引のカウントアップ
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results[counter] = deal_info;
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counter++;
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}
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}
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}
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//--- 配列の最終サイズを設定する
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ArrayResize(results, counter);
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return (true);
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}
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//+------------------------------------------------------------------+
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//| Double型の約定情報を配列に書き込む
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//+------------------------------------------------------------------+
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bool GetTradeResults(double &results[], const ENUM_DEAL_PROPERTY_DOUBLE EDPD, const ENUM_DEAL_ENTRY EDE)
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{
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//--- 全期間の取引履歴をリクエストする
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if(!HistorySelect(0, TimeCurrent()))
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return (false);
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uint total_deals = HistoryDealsTotal();
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//--- 配列を、履歴の取引数にリサイズ
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ArrayResize(results, total_deals);
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int counter = 0; // 取引回数カウンター
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ulong ticket_history_deal = 0; // ディールチケット
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//--- 全ての取引を配列に取得
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for(uint i = 0; i < total_deals; i++) {
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//--- 取引を選択する
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if((ticket_history_deal = HistoryDealGetTicket(i)) > 0) {
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ENUM_DEAL_ENTRY deal_entry = (ENUM_DEAL_ENTRY)HistoryDealGetInteger(ticket_history_deal, DEAL_ENTRY);
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long deal_type = HistoryDealGetInteger(ticket_history_deal, DEAL_TYPE);
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double deal_info = HistoryDealGetDouble(ticket_history_deal, EDPD);
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//--- 取引操作以外はスルー
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if((deal_type != DEAL_TYPE_BUY) && (deal_type != DEAL_TYPE_SELL))
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continue;
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//--- ENUM_DEAL_ENTRYで指定した情報のみ
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if(deal_entry == EDE) {
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//--- 取引結果を配列に書き込み、取引のカウントアップ
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results[counter] = deal_info;
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counter++;
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}
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}
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}
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//--- 配列の最終サイズを設定する
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ArrayResize(results, counter);
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return (true);
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}
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//+------------------------------------------------------------------+
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//| string型の約定情報を配列に書き込む
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//+------------------------------------------------------------------+
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bool GetTradeResults(string &results[], const ENUM_DEAL_PROPERTY_STRING EDPS, const ENUM_DEAL_ENTRY EDE)
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{
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//--- 全期間の取引履歴をリクエストする
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if(!HistorySelect(0, TimeCurrent()))
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return (false);
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uint total_deals = HistoryDealsTotal();
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//--- 配列を、履歴の取引数にリサイズ
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ArrayResize(results, total_deals);
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int counter = 0; // 取引回数カウンター
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ulong ticket_history_deal = 0; // ディールチケット
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//--- 全ての取引を配列に取得
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for(uint i = 0; i < total_deals; i++) {
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//--- 取引を選択する
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if((ticket_history_deal = HistoryDealGetTicket(i)) > 0) {
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ENUM_DEAL_ENTRY deal_entry = (ENUM_DEAL_ENTRY)HistoryDealGetInteger(ticket_history_deal, DEAL_ENTRY);
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long deal_type = HistoryDealGetInteger(ticket_history_deal, DEAL_TYPE);
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string deal_info = HistoryDealGetString(ticket_history_deal, EDPS);
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//--- 取引操作以外はスルー
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if((deal_type != DEAL_TYPE_BUY) && (deal_type != DEAL_TYPE_SELL))
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continue;
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//--- ENUM_DEAL_ENTRYで指定した情報のみ
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if(deal_entry == EDE) {
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//--- 取引結果を配列に書き込み、取引のカウントアップ
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results[counter] = deal_info;
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counter++;
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}
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}
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}
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//--- 配列の最終サイズを設定する
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ArrayResize(results, counter);
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return (true);
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}
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//+------------------------------------------------------------------+
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